Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0505
Annualized Std Dev 0.1955
Annualized Sharpe (Rf=0%) 0.2585

Row

Daily Return Statistics

Close
Observations 5240.0000
NAs 1.0000
Minimum -0.1157
Quartile 1 -0.0047
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0059
Maximum 0.1110
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0123
Skewness -0.1608
Kurtosis 10.3233

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0088
Loss Deviation 0.0098
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.5651
Historical VaR (95%) -0.0191
Historical ES (95%) -0.0299
Modified VaR (95%) -0.0180
Modified ES (95%) -0.0272
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-03-11 -0.5651 1363 355 1008
2000-09-05 2002-10-09 2007-05-18 -0.4869 1684 525 1159
2020-02-20 2020-03-23 2020-08-18 -0.3390 126 23 103
2018-09-21 2018-12-24 2019-04-29 -0.2018 150 65 85
2015-05-22 2016-02-11 2016-07-12 -0.1446 287 183 104

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 1.6 0.9 0.8 0 -1.6 -0.5 -0.3 -1.5 -0.5
2001 0.6 0.4 1.2 1.6 0.9 -0.1 0.7 0.9 0.2 2.4 -0.2 -1.5 7.3
2002 -0.6 2.4 0.3 1.1 0 -1.9 -3.1 -0.4 4.7 1.9 -0.6 0.2 4
2003 2 0.7 1.4 0 1.6 0.9 -0.9 0.6 2.2 -0.2 1 0 9.5
2004 0 1 0.5 -0.7 -0.2 -1.4 0.4 0.1 1.7 0.3 1.2 -0.3 2.7
2005 0.6 0.6 -0.5 1.4 0.9 0.4 -0.1 -0.1 0.3 0 1.1 -0.5 4.2
2006 0.7 0.9 -0.2 -0.7 1 0.1 -0.4 0.6 -0.2 -0.7 -0.2 -0.4 0.4
2007 0.6 -0.4 0.1 0.2 0.4 -0.5 0.5 0.9 1 -2.5 0.9 -0.6 0.7
2008 1.6 -2.5 3.7 1.8 0.1 0.4 -0.6 -1.2 -0.8 1.8 -8.7 1.3 -3.6
2009 -2.1 -2.1 2.1 0.5 2.4 0.3 0.2 -2.2 -2.5 -2.8 1.2 -1 -6.1
2010 1.6 1.1 0.7 -1.6 -1.7 -0.2 0 2.9 0.4 0 2.2 0 5.4
2011 1.6 -1.6 0.5 0.3 -2.2 1.5 -0.5 -1 -2.4 -2.7 0 -0.5 -6.9
2012 0.8 0.6 0.4 0.7 -2.3 2.5 -0.2 0.6 0.4 1.4 0 1.8 6.7
2013 1 0.2 -0.3 -0.8 -1.4 0.8 1.2 -0.4 0.8 0.3 -0.1 0.4 1.7
2014 -0.6 0.2 0.7 -0.1 0.2 0.7 -0.3 0.3 -1.3 1.1 -0.7 -1 -0.9
2015 -1.3 -0.3 -0.3 1.1 0.2 0.8 -0.1 -3 0.3 -0.5 1 -1 -3.3
2016 0 2.4 0.6 -0.5 0.2 0.3 -0.1 0 0.8 -0.7 -0.4 -0.3 2.2
2017 0.1 1.3 -0.2 0.3 0.8 0.2 0.2 0.2 0.4 0.2 -0.2 -0.3 2.8
2018 -0.1 -1.3 1.4 0.2 1 0.1 -0.1 0.1 0.4 1 0.7 0.9 4.2
2019 0.1 0.7 1.2 -0.7 -1.3 0.9 -0.9 0 -1.2 1 -0.4 0.2 -0.5
2020 -1.8 -0.9 -4.5 -2.6 0.5 0.7 0.8 0.9 0.6 -1.1 1.1 0.6 -5.7
2021 1.6 2.4 -0.2 NA NA NA NA NA NA NA NA NA 3.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-19  141. SPY    141. -0.0187  -0.0118  -0.014    0.043    0.0584       NA       NA <NA>     NA    NA       NA
2 2000-05-22  140. SPY    140. -0.0075  -0.0359  -0.0261   0.0377   0.0682       NA       NA <NA>     NA    NA       NA
3 2000-05-23  138. SPY    138  -0.0147  -0.0584  -0.0299   0.0105   0.0698       NA       NA <NA>     NA    NA       NA
4 2000-05-24  140. SPY    140.  0.0163  -0.0338  -0.0534   0.0481   0.0752       NA       NA <NA>     NA    NA       NA
5 2000-05-25  138. SPY    138. -0.0172  -0.0415  -0.059    0.0339   0.0722       NA       NA <NA>     NA    NA       NA
6 2000-05-26  138. SPY    138   0.0011  -0.0221  -0.0548   0.0138   0.0599       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart